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eISBN : 9781119860204

Sommaire :
Foreword by Cliff Asness

Part I: Setting the Stage

Chapter 1 Introduction
Chapter 2 The Secular Low Expected Return Challenge
Chapter 3 Major Investor Types and Their Responses to This Challenge

Part II: Building Blocks of Long-Run Returns

Chapter 4 Liquid Asset Class Premia
Chapter 5 Illiquidity Premia
Chapter 6 Style Premia
Chapter 7 Alpha and Its Cousins
Chapter 8 Theories Explaining Long-run Return Sources
Chapter 9 Sustaining Conviction and Patience on Long-run Return Sources
Chapter 10 Four Equations and Predictive Techniques

Part III: Putting It all Together

Chapter 11 Diversification – Its Power and Its Dark Sides
Chapter 12 Portfolio Construction
Chapter 13 Risk Management
Chapter 14 ESG Investing
Chapter 15 Costs and Fees
Chapter 16 Tactical Timing on Medium-term Expected Returns
Chapter 17 Bad Habits and Good Practices
Chapter 18 Concluding Remarks

Acknowledgments
Author Bio
Acronyms
References
Index
Boxes
3.1 Global Market Portfolio 39
4.1 A Brief History of Inflation 54
4.2 Weak Empirical Relationship Between GDP Growth and Equity Returns 67
5.1 Share of Illiquid Assets in Global Wealth 89
5.2 Calendar Strategies 103
6.1 The Size Premium 107
7.1 Systematic Versus Discretionary Investing 142
8.1 How to Make Sense of Flow Data When Every Buyer Has a Seller 161
10.1 Machine Learning 183
11.1 Rebalancing 192
12.1 Modern Portfolio Theory and Two-Fund Separation 202
13.1 Can Risk Management Enhance Returns? Volatility Targeting 216
15.1 Taxes 233

Langue : Français

Localisation : Bibliothèque Campus de Nice

Etat : Présent

Propriétaire : Bibliothèque